please go to mennu polygon and there under edit mesh the first option is keep faces together. is it checked. I believe that it is unchecked.

the other thing is: are the pieces one geometry or is every piece a different one in the outliner (who knows how that should have happened?) if they are... select all and combine them. otherwise merge wont work.

when still in poly mode. turn on head up display poly count. then take one face and select with dragging not picking a corner. there you should pick more then 1 vert. then use merge vertices and maybe zou need to adjust the threshold.

so...

good luck